FWIW, you'll leave one minor trace to a few.
The first is the USB HDD driver. For example, if booted into safe mode with the HDD unplugged, it will listed in the devices as installed but not used. No sign it was mame, but it does show what HDD was plugged in.
The others are the recently run, last run, and maybe last opened variables in the register. The most obvious place to see this is in winXP's start menu's 6 (default amout) most frequently recently run applications list.
Both can be cleaned if you're really worried, but I'd just right click - "Remove from this list" if mame ever made in into the start menu list.